Commodity Futures Trading Commission proposes replacing CDOR and TIIE clearing requirements with overnight rate requirements for CAD and MXN interest rate swaps

The Commodity Futures Trading Commission has proposed changes to its Part 50 swap clearing requirement that would remove mandatory clearing for interest rate swaps linked to the Canadian Dollar Offered Rate and the Interbank Equilibrium Interest Rate, known as TIIE, and replace them with clearing requirements for Canadian dollar and Mexican peso swaps that reference overnight, nearly risk-free rates. The proposal would update the set of swaps that must be submitted for clearing to a derivatives clearing organization or an exempt DCO. Under the proposal, the stated termination date range for Canadian dollar overnight index swaps referencing the Canadian Overnight Repo Rate Average would be set at seven days to 30 years. Mexican peso overnight index swaps referencing the Overnight TIIE Funding Rate would be added to the overnight index swap class with a stated termination date range of 28 days to 21 years. The fixed-to-floating swap class would no longer include Canadian dollar swaps referencing CDOR or Mexican peso swaps referencing TIIE. Regulation 50.25(b) would also be revised to update compliance dates for the new set of swaps subject to mandatory clearing. The comment period will remain open for 30 days after publication in the Federal Register. Comments must be submitted through Regulations.gov.